Abstract #301444

This is the preliminary program for the 2003 Joint Statistical Meetings in San Francisco, California. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 2-5, 2003); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

To View the Program:
You may choose to view all activities of the program or just parts of it at any one time. All activities are arranged by date and time.

The views expressed here are those of the individual authors
and not necessarily those of the ASA or its board, officers, or staff.

Back to main JSM 2003 Program page
JSM 2003 Abstract #301444
Activity Number: 84
Type: Contributed
Date/Time: Monday, August 4, 2003 : 8:30 AM to 10:20 AM
Sponsor: Business & Economics Statistics Section
Abstract - #301444
Title: Consistent Estimation of Models Defined with Conditional Moment Restrictions
Author(s): Manuel Dominguez*+
Companies: ITAM
Address: Rio Hondo 1, Mexico City, , 01000, Mexico
Keywords: identification ; unconditional moments ; marked empirical process ; integrated regression function ; generalized method of moments
Abstract:

Models stated as conditional moment restrictions are typically estimated in econometrics by means of the generalized method of moments (GMM). The GMM estimation procedure can render inconsistent estimates, since the instruments are arbitrarily chosen and the method relies on additional assumptions that imply unclear restrictions on the data generating process. This article introduces a new, simple and consistent estimation procedure for these models which is directly based on the definition of the conditional moments. The main feature of our procedure is its simplicity, since its implementation does not require the selection of any user-chosen number, and statistical inference is straightforward, since the proposed estimator is asymptotically normal.

  • The address information is for the authors that have a + after their name.
  • Authors who are presenting talks have a * after their name.

Back to the full JSM 2003 program

JSM 2003 For information, contact meetings@amstat.org or phone (703) 684-1221. If you have questions about the Continuing Education program, please contact the Education Department.
Revised March 2003